Essays about: "Tim Herzig"
Found 1 essay containing the words Tim Herzig.
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1. Conditional Value-at-Risk targeted portfolio optimisation
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : New financial regulations have constantly forced market participants to adapt to changing rules. Recent regulatory iterations require them to focus on tail risk in portfolios of financial assets. One metric to quantify tail risk in portfolios is the Conditional Value-at-Risk (cVaR). READ MORE
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